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Author:   A. Berkelaar ,  J. Coche ,  K. Nyholm
Publisher:   Palgrave Macmillan
Imprint:   Palgrave Macmillan
Edition:   1st ed. 2010
Dimensions:   Width: 14.00cm , Height: 2.10cm , Length: 21.60cm
Weight:   0.517kg
ISBN:  

9781349316410

ISBN 10:   1349316415
Pages:   366
Publication Date:   30 November 2009
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

List of Illustrations Preface Introduction About the Editors Notes on Contributors PART I: INTEREST RATE MODELLING AND FORECASTING Combining Canadian Interest Rate Forecasts; D.Bolder & Y.Romanyuk Updating the Yield Curve to Analysts' Views; L.Nogueira A Spread Risk Model for Strategic Fixed Income Investors; F.Monar & K.Nyholm Dynamic Management of Interest Rate Risk Exposure; G.Petre & A.Berkelaar PART II: PORTFOLIO OPTIMISATION TECHNIQUES Strategic Asset Allocation with a Variable Investment Horizon; P.de Cacella, A.da Silva &  I.Maia Hidden Risks in Mean Variance Optimization, J.Fernandes & J.Ornelas Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space; A.Reveiz & C.Leon Copulas and Risk Measures for Strategic Asset Allocation; C.Caillault& S.Monier Scenario Dependent Portfolio Optimization; R.Grava Strategic Tilting Around the SAA Benchmark; A.Drew, R.Frogley, T.Hayward & R.Sethi Optimal Construction of a Fund of Funds; P.Hilli, M.Koivu & T.Pennanen PART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUES Mortgage Backed Securities in a Strategic Asset Allocation Framework; A.Kobor & M.Brennan Comparing the Global Aggregate Index to a Blend of Global Treasuries and MBS; L.Dynkin, J.Hyman & B.Phelps Volatility Exposure for Strategic Asset Allocation; Marie Brière, A.Burgues & O.Signori A Frequency Domain Methodology for Time-Series Modeling; H.Steehouwer Combining Financial Data with Mixed Frequencies;  T.Trovik & C.Kane Statistical Inference for Sharpe's Ratio; F.Schmid  & R.Schmidt Appendix Notes Bibliography Index

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Author Information

ARJAN B. BERKELAAR is Head of Risk Management at Kaust Investment Management Company (KIMC) US. Prior to joining KIMC, he worked as Principal Investment Officer at the World Bank Treasury where he was responsible for developing investment strategies and advising internal and external clients on asset allocation and related policy matters. JOACHIM COCHE works as Senior Asset Management Specialist at the Bank for International Settlements (BIS) in Basle, Switzerland, where he advises central bank clients in the management of foreign exchange reserves. Prior to joining the BIS, he worked at the World Bank Treasury where he focused on the development of asset allocation strategies for the Bank's fixed income portfolios. KEN NYHOLM works in the Risk Management Division of the European Central Bank, focusing on the practical implementation of financial and quantitative techniques in the area of fixed-income strategic asset allocation for the bank's domestic and foreign currency portfolios, as well as asset and liability management for pensions.

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